EPP Options History — April 2015

In April 2015, EPP traded between $45.55 and $48.71. ATM implied volatility averaged 15.0%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.2%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2015-04-27: Highest Volume — 743 contracts
  • 2015-04-30: Largest IV spike — 22.8% change
  • 2015-04-30: Highest IV Rank — 53.9%
  • 2015-04-30: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.14$45.55$48.71$45.55$47.27
Max Pain$44.33$44.00$46.00$46.00$45.00
ATM IV15.0%11.7%16.8%15.6%16.8%
Expected Move4.3%3.4%4.8%4.5%4.8%
HV 20d15.2%12.9%18.5%18.5%15.8%
HV 60d14.4%13.8%15.0%14.2%15.0%
IV Rank42.3%20.1%53.9%46.2%53.9%
IV Percentile63.8%25.4%84.9%73.4%84.9%
Term Structure0.2%-1.1%1.1%0.1%-1.1%
VWIV19.7%12.4%22.0%18.0%20.0%
Skew 25d4.6%2.7%5.4%3.9%2.7%
Skew 10d11.2%5.0%15.7%11.3%5.0%
Call IV 25d13.6%10.1%15.9%15.6%15.9%
Put IV 25d18.2%15.0%19.9%19.5%18.6%
Bid-Ask Spread %86.8278.0496.5089.3291.43
Gamma HHI0.200.120.390.190.18
Net GEX522-65.8K57.8K-65.8K31.3K
Net DEX1.1M613.3K1.6M1.6M935.6K
Net VEX-3.7K-5.2K-3.2K-3.4K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.005.745.741.21
Total Volume559.95255743512735
Total OI941.9057261,0679601,019

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$45.55$46.0015.6%4.5%18.5%46.2%18.0%3.9%0.1%-65.8K1.6M-3.4K5.7489.32N/AN/A76436222738
2015-04-02$45.76$44.0015.3%4.5%18.5%43.7%19.4%4.5%0.5%-62.2K1.5M-3.4K5.7478.11N/AN/A76436229738
2015-04-06$46.11$44.0016.6%4.6%18.0%52.7%20.2%4.6%0.7%-53.0K1.4M-3.2K4.7978.04N/AN/A91436229738
2015-04-07$46.23$44.0016.4%4.6%18.0%51.0%20.7%5.4%0.1%-45.2K1.3M-3.3K4.8680.96N/AN/A91442254738
2015-04-08$47.00$44.0014.7%4.2%16.7%39.7%0.0%4.9%1.1%-12.8K1.1M-3.4K0.0089.89N/AN/A550254748
2015-04-09$47.57$44.0014.1%4.0%16.9%35.9%20.6%4.8%1.0%24.1K763.1K-3.7K3.1881.95N/AN/A139442308748
2015-04-10$47.48$44.0015.5%4.5%16.0%45.6%20.3%4.8%0.0%31.6K783.7K-3.6K3.1882.80N/AN/A139442319748
2015-04-13$46.97$44.0016.2%4.6%15.4%50.0%21.2%5.2%-0.0%11.8K1.0M-3.5K3.1283.94N/AN/A145453292748
2015-04-14$47.23$44.0015.8%4.5%15.2%47.7%21.4%5.4%0.3%23.0K1.0M-3.5K3.0283.53N/AN/A150453298759
2015-04-15$47.31$44.0015.5%4.4%14.9%45.4%20.6%5.1%0.1%25.8K950.4K-3.5K3.0484.96N/AN/A149453303759
2015-04-16$47.73$44.0013.6%3.9%13.0%32.5%20.4%5.1%0.8%44.5K875.8K-3.4K2.4188.56N/AN/A188453294759
2015-04-17$46.89$44.0014.9%4.3%14.7%41.1%20.4%4.0%0.7%-51.5K1.2M-3.5K2.2986.85N/AN/A198453303759
2015-04-20$46.83$44.0015.8%4.5%13.1%47.0%21.5%4.7%-0.4%-2.2K1.1M-3.5K3.1786.01N/AN/A113358215511
2015-04-21$46.86$44.0015.8%4.5%13.0%47.5%22.0%4.8%-0.5%-2.6K1.1M-3.5K3.2886.66N/AN/A109358215511
2015-04-22$46.98$44.0015.9%4.6%13.0%47.8%21.9%4.4%-0.3%-2.7K1.1M-3.5K3.2886.78N/AN/A109358216511
2015-04-23$47.24$44.0015.3%4.4%12.9%44.0%18.7%3.6%-0.4%691.1M-3.5K3.1486.64N/AN/A121380216511
2015-04-24$48.05$45.0013.3%3.8%13.9%30.5%20.1%4.5%0.6%4.6K952.0K-3.8K2.9990.36N/AN/A127380229533
2015-04-27$48.22$45.0013.5%3.9%13.8%31.9%16.3%4.5%0.3%11.0K828.5K-3.9K1.1895.42N/AN/A341402237533
2015-04-28$48.71$45.0011.7%3.4%13.8%20.1%12.4%4.9%0.5%57.8K613.3K-5.1K1.1896.50N/AN/A340402464555
2015-04-29$47.95$45.0013.7%3.9%14.6%33.3%17.4%4.5%0.4%43.5K764.7K-5.2K1.2394.53N/AN/A328402464555
2015-04-30$47.27$45.0016.8%4.8%15.8%53.9%20.0%2.7%-1.1%31.3K935.6K-4.8K1.2191.43N/AN/A333402464555